Dividend derivatives

DOI10.1080/14697688.2017.1322218zbMath1471.91584OpenAlexW4246831733MaRDI QIDQ4957231

Radu S. Tunaru

Publication date: 3 September 2021

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://kar.kent.ac.uk/61555/1/DivDerivs_QF_last.pdf

zbMATH Keywords

market price of riskdividend futuresdividend optionssmile calibrationstochastic logistic diffusion

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (1)

The stock implied volatility and the implied dividend volatility

Cites Work

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• A Jump-Diffusion Model for Option Pricing
• Dividend forecast biases in index option valuation
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• Stochastic calculus for finance. II: Continuous-time models.
• American options with stochastic dividends and volatility: a nonparametric investigation
• An Asymptotic Theory of Growth Under Uncertainty
• Estimating discrete dividends by no-arbitrage
• Arbitrage Theory in Continuous Time

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